README file for MS12976
Engle R.F., G.M. Gallo and M. Velucchi
Volatility Spillovers in East Asian Financial Markets: A MEM Based Approach
The Review of Economics and Statistics, Vol.94, Issue 1, Feb 2012, pages 222-233.

Calculations based on EVIEWS
EGVData.xls Excel file with 2 sheets.
Sheet Indices contains raw data (open, high, low, close) on the Asian Indices (Figure 1 was created from close daily indices)
Sheet hilo contains calculations of daily range data and of daily returns (Figure 2 was created from daily ranges)

Readegv.prg Eviews PRG file reads EGVData.xls and creates egvdata.wf1 (EVIEWS workfile with daily ranges and returns, creates dummy vars)

EGVData.wf1 EVIEWS workfile contains data Table 2 was created from here using standard EVIEWS descriptive statistics functions.

egv_model_estimate.prg EVIEWS PRG file which estimate models and calculates residual diagnostics. Calculates the results detailed in Tables 6 and 7
which are summarized in qualitative form in Table 3. Table 4 contains model diagnostics calculated at the estimation stage.

Bridge_Eviews_Matlab.xls Input objects for successive calculations
are derived in EVIEWS and brought in this spreadsheet for
completion and manual extraction to txt files.

Calculations based on MATLAB PROGRAMS

 mem_2_1_prev_oct1_97_B.m Performs calculations needed to reproduce Figure 3
 mem_2_1_prev_aug27_01_B.m Performs calculations needed to reproduce Figure 4
 IRF_MEM21_cond_eps_HK_Oct22_B.m Performs calculations needed to reproduce Figure 5
 IRF_MEM21_cond_eps_SPILL.m Performs calculations needed to reproduce Table 5

INPUT FILES (See comments within Matlab programs)
 a4irf.txt
 ac.txt
 ac1.txt
 ac2.txt
 acminus.txt
 acplus.txt
 ad.txt
 ad1.txt
 allout.txt
 aminus.txt
 aplus.txt
 a_lag2.txt
 beta.txt
 date_7_14_95.txt
 date_7_18_95.txt
 dneg.txt
 eps_all.txt
 eps_all2.txt
 eps_all3.txt
 hilos.txt
 long_mu.txt
 long_mu_A.txt
 mu_all.txt
 mu_all2.txt
 mu_all3.txt
 om.txt
 omega.txt
 omega1.txt
 sd.txt
